This article covers the trading blowups at the hedge fund, Amaranth, and at the Futures Commission Merchant, MF Global. Although the lessons from the Amaranth blowup can best be understood in terms of market-risk principles, the lessons from the MF Global bankruptcy are best understood in terms...

This collection of articles covers the commodity derivatives markets from a broadly conceptual perspective. Specifically, this set of articles reviews (a) the potentially persistent sources of return in the commodity futures markets; (b) the differing risk-management priorities for commercial...

This article reviews a class of trading strategies known as “weather fear premia” trades. It argues that these types of trades may comprise a type of risk premium and notes the extra diligence needed in their risk management. The article notes that both superior trade construction and an...

This article provides a brief introduction to risk premia strategies and notes how commodity risk premia strategies are an extension of ideas that were originally developed for the equity markets. The paper considers how to manage the risks of these strategies and discusses the importance of a...

This article revisits a number of empirical relationships in the oil and commodity index futures markets. For example, the article examines how to put roll yields in proper perspective, which is that they are most properly seen as predictive of future returns over sufficiently long timeframes....

Should an investor enter into long-term positions in oil futures contracts? In answering this question, this paper will cover the following three considerations: (1) the case for structural positions in crude oil futures contracts; (2) useful indicators for avoiding crash risk; and (3) financial...

This survey paper discusses the (potential) structural sources of return for both CTAs and commodity indices based on a review of empirical research from both academics and practitioners. The paper specifically covers (a) the long-term return sources for both managed futures programs and for...

One hopes that the CFTC will carefully consider how necessary and appropriate the imposition of speculative position limits is, across commodity markets. This article argues that before making such a finding, the agency should (a) review the empirical evidence on the causes of both commodity...

On September 28th, 2012 a federal judge struck down the U.S. Commodity Futures Trading Commission's (CFTC's) current iteration of federal position limits on holdings of commodity futures contracts. A month and a half later, the CFTC announced that the commission would appeal the court's...